Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes.Report as inadecuate




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Reference: Guillaume Chevillon and David Hendry, (2004). Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes. Department of Economics (University of Oxford).Citable link to this page:

 

Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes. Series: Discussion Papers

Abstract: We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified, iterating the one-step ahead froecasts may not be asymptotically preferable. If a model is mis-specified for a non-stationary DGP, in particular omitting either negative residual serial correlation or regime shifts, DMS can forecast more accurately. Monte Carlo simulations clarify the non-linear dependence of the estimation and forecast biases on the parameters of the DGP, and explain existing results.

Bibliographic Details

Issue Date: 2004-07Identifiers

Urn: uuid:0c7a6762-4695-4794-b103-dc9e46c13db6 Item Description

Type: info:eu-repo/semantics/workingPaper;

Language: en Tiny URL: ora:1235

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Author: Guillaume Chevillon - - - David Hendry - - - - Bibliographic Details Issue Date: 2004-07 - Identifiers Urn: uuid:0c7a6762-4695-47

Source: https://ora.ox.ac.uk/objects/uuid:0c7a6762-4695-4794-b103-dc9e46c13db6



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